Lumpable Markov chains in risk management

DOI10.1007/S11590-010-0275-XzbMATH Open1258.90105OpenAlexW1970492708MaRDI QIDQ691383FDOQ691383

Authors: M. I. Loizides, Athanasios Yannacopoulos 

Publication date: 30 November 2012

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-010-0275-x

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zbMATH Keywords

Markov chainsrisk managementlumpability

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Cites Work

• Title not available (Why is that?)
• Lumpability and Commutativity of Markov Processes
• Bounding the lumping error in Markov chain dynamics
• MONOTONIC SUPPORT VECTOR MACHINES FOR CREDIT RISK RATING
• Title not available (Why is that?)

Cited In (1)

• Markov chain lumpability and applications to credit risk modelling in compliance with the International Financial Reporting Standard 9 framework

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